Sentiment lost: the effect of projecting the pricing kernel onto a smaller filtration set
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Publication:3298103
DOI10.1080/07362994.2019.1711119zbMath1445.91064OpenAlexW2999470312MaRDI QIDQ3298103
Carlo Sala, Giovanni Barone-Adesi
Publication date: 21 July 2020
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362994.2019.1711119
Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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